If you jump you can update an update from Zune without problems. The update does not affect the device, ie, it will not block because the Zune update you mention is a minor update. You have 2 updates ahead 7.10.8860 and 7.10.8862.
I also want to say that even a good ROM that you have installed, I personally prefer a more current ROM, how eg RainbowMod 2.2 ROM:
http://xdaforums.com/showthread.php?t=1665651
PS: Flashing a ROM, you will lose all your personal stuff, you please do a backup with Zune and the next WPBackup program and do not forget to thank UltraShot:
http://xdaforums.com/showthread.php?t=2010135
XDA does not support piracy, but I will answer briefly. If you install a patched application you can never upgrade from the market, unless the device and uninstall the new version is downloaded. The best way to avoid problems is to buy the application, because if you like to enjoy the application or games without spending money, the developer is wasting time with people how you.